My Slimserver runs on a Linux 
From the Squeezebox (SB2) remote, I browse playlists, select one and press Play at 
the playlist name. It doesn't start at the first track but at the track that was last 
playing (which will be the last one if the playlist formerly played to the end and
stopped). This is the same behaviour also using the web interface.

If this was done on purpose to answer some people's needs, then maybe implementing
an option in the server settings could be done: (Start playlists at last track played or
Start playlists at the beginning).

I don't create playlists containing thousands of tracks, I like to listen to them
like I listen to an album: from start to finish.

Thanks, Daniel